The exhaust gas passes through the EGR valve and onto the cooler, the heat exchange here gets the heat into the coolant and out through its normal cooling processes, the exhaust gas is cooled down and reinjected in order to try and kill off the extra bad bits that the EU are trying to save the world from being killed by. The exhaust gas is then transferred back out through the exhaust, but to my knowledge it does not come out as hot as its first pass, which causes some issues on the DPF.
However, the DPF in the 2009 is the cDPF (Ceramic Diesel Particulate Filter) this is a life long DPF (or so claim Ford) that manages entirely by self regeneration, requires no EOLYS fluid, and no maintenance (i.e. no change every 60k miles as on the MK2. So the more heat you chuck out, the easier it is for the car to clean itself.
The EGR blank does a lot more good than bad, it helps the turbo spool more easily, reduces engine workload, improve efficiency and contrary to the EU's popular belief, does not single handedly save the planet, its people and the goldfish that inhabit it. In fact, I would not be surprised if the carcinogenics that are going to kill us all are reduced by the fact that the EGR is disabled. As I look at it this way...
If you recycle the exhaust gas and reinject it, then you need to up the fuel level to keep the balance right, so your injecting more fuel to do the same job. Whereas when you blank it, the engine uses only the fuel it needs (hence the MPG increase after blanking) - so its now reduced the cack its putting out because its not throwing half as much in.
The engine is throwing out more heat into the exhaust to deal with the soot, the DPF is coping better because the car isnt having to throw more heat into the mix to get the exhaust gas hot enough to actually allow regeneration, so again there is no where near as much fuel being used. It takes pressure off the electric system because the fan isnt having to be spun up to keep the engine cool during regeneration, so its taking load off the electrical systems. The car is more responsive, so you dont need to put your foot down as much to get where you need to be, so your not wasting fuel.
The entire EGR argument is one I think that the EU Nuts thought "ooooh that sounds good, lets enforce it" (much like the whole Kym Jong Un "I like my haircut so every man must do it") but nobody seems to have ever thought what problems it causes!
All in all, its worht doing (if not just to stick your middle finger up at the man in the suit in the EU dictatorship) but it will help the car in many ways, and the DPF should not be a problem. I have been on this forum for a few years now (4.5) and in that time I have seen countless "My DPF has packed in" on the MK2 Focus, but I have yet to see anyone say that on a MK2.5 the same thing has happened